"UWIN or Unix for WINdows, is developed and released by AT&T Laboratories and David Korn - the creator of Korn shell. UWin basically consists of a set of tools and libraries which helps application developers compile and run Unix applications natively on windows. The tools include a complete shell (Korn Shell) for Windows which is bundled with all the command line tools you find in Linux/Unix."

You can even run your X server without a root window in Cygwin, so you can run gui Linux apps side by side with your Windows apps. Don't recall exactly, but I think it may just be a matter of running X with the -rootless option.